8
H index
7
i10 index
164
Citations
Banca d'Italia | 8 H index 7 i10 index 164 Citations RESEARCH PRODUCTION: 8 Articles 26 Papers 1 Chapters RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Davide Delle Monache. | Is cited by: | Cites to: |
Year | Title of citing document |
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2023 | When Inflation Again Matters: Do Domestic and Global Output Gaps Determine Inflation in the EU?. (2023). Sinicakova, Marianna ; Sulikova, Veronika ; Budova, Jana. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:25:y:2023:i:63:p:575. Full description at Econpapers || Download paper |
2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper |
2023 | Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions. (2023). Huber, Florian ; Pruser, Jan. In: Papers. RePEc:arx:papers:2301.13604. Full description at Econpapers || Download paper |
2023 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper |
2022 | On the anchoring of inflation expectations in the euro area. (2022). Riggi, Marianna ; Papetti, Andrea ; Corsello, Francesco ; Cecchetti, Sara ; Bulligan, Guido ; Neri, Stefano ; Tagliabracci, Alex ; Rondinelli, Concetta. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_712_22. Full description at Econpapers || Download paper |
2023 | Energy price shocks and inflation in the euro area. (2023). Tagliabracci, Alex ; delle Monache, Davide ; Corsello, Francesco ; Conflitti, Cristina ; Busetti, Fabio ; Neri, Stefano. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_792_23. Full description at Econpapers || Download paper |
2022 | Financial Conditions and Macroeconomic Downside Risks in the Euro Area. (2022). Lhuissier, Stéphane. In: Working papers. RePEc:bfr:banfra:863. Full description at Econpapers || Download paper |
2022 | Joint Decomposition of Business and Financial Cycles: Evidence from Eight Advanced Economies. (2022). Koopman, Siem Jan ; Hindrayanto, Irma ; de Winter, Jasper. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:57-79. Full description at Econpapers || Download paper |
2023 | Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840. Full description at Econpapers || Download paper |
2022 | Robust energy-to-peak filter design for a class of unstable polytopic systems with a macroeconomic application. (2022). Takacs, Tibor ; Gyurkovics, Eva. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:420:y:2022:i:c:s0096300321008110. Full description at Econpapers || Download paper |
2022 | Modeling tail risks of inflation using unobserved component quantile regressions. (2022). Pfarrhofer, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s016518892200197x. Full description at Econpapers || Download paper |
2023 | Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834. Full description at Econpapers || Download paper |
2022 | Learning, disagreement and inflation forecasting. (2022). Liu, Xiliang ; Yang, Xinglin ; Chen, JI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001693. Full description at Econpapers || Download paper |
2022 | Financial conditions and macroeconomic downside risks in the euro area. (2022). Lhuissier, Stephane. In: European Economic Review. RePEc:eee:eecrev:v:143:y:2022:i:c:s0014292122000101. Full description at Econpapers || Download paper |
2022 | High frequency correlation dynamics and day-of-the-week effect: A score-driven approach in an emerging market stock exchange. (2022). Karahan, Cenk C ; Bahcivan, Hulusi. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003215. Full description at Econpapers || Download paper |
2022 | The extreme risk connectedness of the new financial system: European evidence. (2022). Foglia, Matteo ; Miglietta, Federica ; Pacelli, Vincenzo. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003581. Full description at Econpapers || Download paper |
2023 | Macroeconomic downside risk and the effect of monetary policy. (2023). Wu, Jian ; Deng, Chuang. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001769. Full description at Econpapers || Download paper |
2023 | Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735. Full description at Econpapers || Download paper |
2022 | Forward guidance and the role of central bank credibility under heterogeneous beliefs. (2022). Mavromatis, Kostas ; Hommes, Cars ; Goy, Gavin. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:200:y:2022:i:c:p:1240-1274. Full description at Econpapers || Download paper |
2022 | Dispelling the shadow of fiscal dominance? Fiscal and monetary announcement effects for euro area sovereign spreads in the corona pandemic. (2022). Heinemann, Friedrich ; Nover, Justus ; Helbig, Samuel ; Havlik, Annika. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002291. Full description at Econpapers || Download paper |
2022 | Modeling global real economic activity: Evidence from variable selection across quantiles. (2022). Stolbov, Mikhail ; Shchepeleva, Maria. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:25:y:2022:i:c:s1703494921000438. Full description at Econpapers || Download paper |
2022 | A new approach to assess inflation expectations anchoring using strategic surveys. (2022). Williams, John ; topa, giorgio ; van der Klaauw, Wilbert ; Sbordone, Argia ; Armantier, Olivier. In: Journal of Monetary Economics. RePEc:eee:moneco:v:129:y:2022:i:s:p:s82-s101. Full description at Econpapers || Download paper |
2022 | Tail Forecasting with Multivariate Bayesian Additive Regression Trees. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Huber, Florian ; Clark, Todd ; Koop, Gary. In: Working Papers. RePEc:fip:fedcwq:90366. Full description at Econpapers || Download paper |
2023 | Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160. Full description at Econpapers || Download paper |
2022 | On the Real-Time Predictive Content of Financial Conditions Indices for Growth. (2022). McCracken, Michael ; Amburgey, Aaron. In: Working Papers. RePEc:fip:fedlwp:93642. Full description at Econpapers || Download paper |
2022 | Detecting and Measuring Financial Cycles in Heterogeneous Agents Models: An Empirical Analysis. (2022). Gusella, Filippo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2022_02.rdf. Full description at Econpapers || Download paper |
2022 | Inflation puzzles, the Phillips Curve and output expectations: new perspectives from the Euro Zone. (2022). Tamborini, Roberto ; Sardone, Alessandro ; Passamani, Giuliana. In: Empirica. RePEc:kap:empiri:v:49:y:2022:i:1:d:10.1007_s10663-021-09515-8. Full description at Econpapers || Download paper |
2022 | Nowcasting in the presence of large measurement errors and revisions. (2022). Labonne, Paul ; Weale, Martin. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2022-05. Full description at Econpapers || Download paper |
2022 | Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data. (2022). Labonne, Paul. In: Economic Statistics Centre of Excellence (ESCoE) Discussion Papers. RePEc:nsr:escoed:escoe-dp-2022-23. Full description at Econpapers || Download paper |
2022 | Cycle financier, cycle réel et transmission de la politique monétaire au Maroc. (2022). Achour, Aya ; Chafik, Omar. In: Document de travail. RePEc:ris:bkamdt:2022_002. Full description at Econpapers || Download paper |
2023 | Consistency, distributional convergence, and optimality of score-driven filters. (2023). Lucas, Andre ; Lin, Yicong ; Beutner, Eric A. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230051. Full description at Econpapers || Download paper |
2023 | TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES. (2023). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd E. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:3:p:979-1022. Full description at Econpapers || Download paper |
2023 | On the real?time predictive content of financial condition indices for growth. (2023). McCracken, Michael ; Amburgey, Aaron J. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:2:p:137-163. Full description at Econpapers || Download paper |
2023 | Forecasting inflation time series using score?driven dynamic models and combination methods: The case of Brazil. (2023). Lucena, Fernando Antonio ; Dias, Carlos Henrique. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:2:p:369-401. Full description at Econpapers || Download paper |
2023 | Forecasting inflation in open economies: What can a NOEM model do?. (2023). Martinezgarcia, Enrique ; Duncan, Roberto. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:3:p:481-513. Full description at Econpapers || Download paper |
2022 | Estimating growth at risk with skewed stochastic volatility models. (2022). Wolf, Elias. In: Discussion Papers. RePEc:zbw:fubsbe:20222. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Testing for Level Shifts in Fractionally Integrated Processes: a State Space Approach.(2015) In: Studies in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2017 | Does the ARFIMA really shift? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Adaptive models and heavy tails with an application to inflation forecasting In: BCAM Working Papers. [Full Text][Citation analysis] | paper | 23 |
2017 | Adaptive models and heavy tails with an application to inflation forecasting.(2017) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | article | |
2016 | Adaptive models and heavy tails with an application to inflation forecasting.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2016 | Adaptive Models and Heavy Tails with an Application to Inflation Forecasting.(2016) In: EMF Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2014 | Adaptive Models and Heavy Tails In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 12 |
2016 | Adaptive models and heavy tails.(2016) In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2016 | Adaptive models and heavy tails.(2016) In: Bank of England working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2014 | Adaptive Models and Heavy Tails.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
2015 | Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation In: Birkbeck Working Papers in Economics and Finance. [Full Text][Citation analysis] | paper | 10 |
2016 | Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation.(2016) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | chapter | |
2017 | Real and financial cycles: estimates using unobserved component models for the Italian economy In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 10 |
2019 | Real and financial cycles: estimates using unobserved component models for the Italian economy.(2019) In: Statistical Methods & Applications. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2018 | Financial markets effects of ECB unconventional monetary policy announcements In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 8 |
2019 | Domestic and global determinants of inflation: evidence from expectile regression In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 4 |
2021 | Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*.(2021) In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2020 | The time-varying risk of Italian GDP In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 6 |
2021 | The time-varying risk of Italian GDP.(2021) In: Economic Modelling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2020 | Price dividend ratio and long-run stock returns: a score driven state space model In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 1 |
2019 | Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2020 | Price dividend ratio and long-run stock returns: a score driven state space model.(2020) In: Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2021 | Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model.(2021) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2019 | Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model.(2019) In: EMF Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2021 | Modeling and forecasting macroeconomic downside risk In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 34 |
2020 | Modeling and Forecasting Macroeconomic Downside Risk.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2020 | Modelling and Forecasting Macroeconomic Downside Risk.(2020) In: EMF Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2016 | Adaptive state space models with applications to the business cycle and financial stress In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2017 | Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity In: Working Paper Series. [Full Text][Citation analysis] | paper | 20 |
2009 | Computing the mean square error of unobserved components extracted by misspecified time series models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 7 |
2019 | Efficient matrix approach for classical inference in state space models In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
2019 | Efficient Matrix Approach for Classical Inference in State Space Models.(2019) In: EMF Research Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2014 | Adaptive Models and Heavy Tails In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2006 | A structural time series approach to modelling multiple and resurgent meat scares in Italy In: Applied Economics. [Full Text][Citation analysis] | article | 9 |
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